Strategy Tearsheet

21 Jan, 2022 - 28 Mar, 2025

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	100.0%
Cumulative Return	185.24%
CAGR﹪	25.52%
Sharpe	1.9
Prob. Sharpe Ratio	100.0%
Smart Sharpe	1.85
Sortino	3.48
Smart Sortino	3.39
Sortino/√2	2.46
Smart Sortino/√2	2.4
Omega	1.61
Max Drawdown	-8.28%
Longest DD Days	84
Volatility (ann.)	13.74%
Calmar	3.08
Skew	1.8
Kurtosis	14.89
Expected Daily	0.1%
Expected Monthly	0.1%
Expected Yearly	0.1%
Kelly Criterion	20.66%
Risk of Ruin	0.0%
Daily Value-at-Risk	-1.32%
Expected Shortfall (cVaR)	-1.32%
Max Consecutive Wins	9
Max Consecutive Losses	8
Gain/Pain Ratio	0.61
Gain/Pain (1M)	8.99
Payoff Ratio	1.34
Profit Factor	1.61
Common Sense Ratio	2.38
CPC Index	1.18
Tail Ratio	1.48
Outlier Win Ratio	6.62
Outlier Loss Ratio	5.53
MTD	5.2%
3M	10.61%
6M	22.82%
YTD	9.98%
1Y	29.0%
3Y (ann.)	20.85%
5Y (ann.)	25.52%
10Y (ann.)	25.52%
All-time (ann.)	25.52%
Best Day	6.3%
Worst Day	-4.47%
Best Month	6.3%
Worst Month	-4.47%
Best Year	6.3%
Worst Year	-4.47%
Avg. Drawdown	-1.27%
Avg. Drawdown Days	10
Recovery Factor	13.13
Ulcer Index	0.02
Serenity Index	13.81
Avg. Up Month	0.5%
Avg. Down Month	-0.37%
Win Days	54.53%
Win Month	54.53%
Win Quarter	54.53%
Win Year	54.53%